To save your films, you have to go to the recent films and click X on the film you want to save. It'll be saved in your Library in the category of which game mode you played.
If you have problems accessing the films, go to Family Settings, Xbox Live Controls, Content, then allow content. The you'll have full access to any films.
Oh, just a word of warning, you can't rewind or skip forward in Campaign, or record clips. Bungie stated that it would've caused great problems, and didn't want to have that in Halo 3. And there is no saved films for Solo Campaign.
Just a quick FYI to let you know that after 2 MONTHS I got the egyptian translator done! I am more relieved than ever now that the "bee-otch" (that's the name of the air freshener in the car used in the new Transformers movie) is done =)
My newest journal entry covers the details you can check out sometime.
